HKEX Announces Plans for Additional RMB Currency Futures
OREANDA-NEWS. Hong Kong Exchanges and Clearing Limited (HKEX) plans to introduce additional Renminbi (RMB) currency futures in the second quarter of this year, subject to regulatory approval.
New Currency Futures to be Introduced by HKEX
- Cash-settled Euro-RMB, Japanese yen-RMB and Australian dollar-RMB futures to give market participants more tools for hedging their RMB risk.
- US dollar-denominated cash-settled RMB-US dollar futures to complement the existing physically-delivered US dollar-RMB futures. The existing futures had record high open interest of 32,009 contracts on 5 February this year, and their average daily volume in the first quarter of the year was 3,128 contracts, more than triple from the same period last year.
"Cash-settled RMB currency futures are part of our plan to expand our product portfolio across asset classes," said Romnesh Lamba, HKEX’s Co-Head of Market Development. "These new products help extend and deepen our value proposition as RMB is used more widely around the world."
"We have been pleased by the big surge in our RMB currency futures volume1," said Li Gang, HKEX's Co-head of Market Development. "Our new futures will give the market more tools for trading and risk management."
A summary of the contract specifications for the new cash-settled RMB currency futures is attached below.
Key contract specifications
|
Currency Pair |
Euro (EUR) |
Japanese yen (JPY) |
Australian dollar (AUD) |
|
Offshore RMB (CNH) |
|||
|
Contract Size |
EUR 50,000 |
JPY 6,000,000 |
AUD 80,000 |
|
Contract Months |
Spot month, the next calendar month and the next two calendar quarter months (calendar quarter months are March, June, September and December) |
||
|
Price Quotation |
RMB per EUR |
RMB per 100 JPY |
RMB per AUD |
|
Minimum Fluctuation |
RMB0.0001 (4 decimal places) |
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Trading Hours |
9:00 am to 4:15 pm and 5:00 pm to 11:45 pm (after-hours trading) |
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Last Trading Day |
Two Hong Kong Business Days prior to the third Wednesday of the Contract Month |
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|
Final Settlement Day |
The first Hong Kong Business Day after the Last Trading Day |
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|
Final Settlement Price |
A cross rate calculated from WM/Reuters Intraday Spot Rates2 at 11:00 am and TMA3 CNH Fixing published at 11:15 am |
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Settlement Method |
Cash settled in RMB |
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|
Commission Levy |
Nil |
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|
Exchange Fee |
RMB5 per contract per side |
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|
Currency Pair |
Offshore RMB (CNH), US dollar (USD) |
|
Contract Size |
RMB300,000 |
|
Contract Months |
Spot month, the next three calendar months and the next four calendar quarter months (calendar quarter months are March, June, September and December) |
|
Price Quotation |
USD per 10 RMB (eg, 1.5424) |
|
Minimum Fluctuation |
USD0.0001 (4 decimal places) |
|
Trading Hours |
9:00 am to 4:15 pm and 5:00 pm to 11:45 pm (after-hours trading) |
|
Last Trading Day |
Two Hong Kong Business Days prior to the third Wednesday of the Contract Month |
|
Final Settlement Day |
The first Hong Kong Business Day after the Last Trading Day |
|
Final Settlement Price |
A reciprocal of TMA3 CNH Fixing published at 11:15am, multiplied by 10 |
|
Settlement Method |
Cash settled in USD |
|
Commission Levy |
Nil |
|
Exchange Fee |
USD0.6 per contract per side |
| 1 | See graph in Appendix for details. |
| 2 | The WM/Reuters Intraday Spot Rates are provided by the World Markets Company plc, or WM, in conjunction with Reuters. |
| 3 | Treasury Markets Association |
Appendix
RMB Currency Futures – USD/CNH Futures Statistics (Sep 2012-Mar 2016)
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